We used simulated data to investigate both the small and large sample properties of the within-groups (WG) estimator and the first difference generalized method of moments (FD-GMM) estimator of a dynamic panel data (D...We used simulated data to investigate both the small and large sample properties of the within-groups (WG) estimator and the first difference generalized method of moments (FD-GMM) estimator of a dynamic panel data (DPD) model. The magnitude of WG and FD-GMM estimates are almost the same for square panels. WG estimator performs best for long panels such as those with time dimension as large as 50. The advantage of FD-GMM estimator however, is observed on panels that are long and wide, say with time dimension at least 25 and cross-section dimension size of at least 30. For small-sized panels, the two methods failed since their optimality was established in the context of asymptotic theory. We developed parametric bootstrap versions of WG and FD-GMM estimators. Simulation study indicates the advantages of the bootstrap methods under small sample cases on the assumption that variances of the individual effects and the disturbances are of similar magnitude. The boostrapped WG and FD-GMM estimators are optimal for small samples.展开更多
针对脉冲噪声条件下利用传统广义互相关法(Generalized Cross-Correlation,GCC)进行时延(TDOA,Time Difference of Arrival)估计性能退化问题,提出一种基于最小1-范数准则的TDOA参数估计算法。对于高斯噪声,传统GCC估计方法能够实现统...针对脉冲噪声条件下利用传统广义互相关法(Generalized Cross-Correlation,GCC)进行时延(TDOA,Time Difference of Arrival)估计性能退化问题,提出一种基于最小1-范数准则的TDOA参数估计算法。对于高斯噪声,传统GCC估计方法能够实现统计最优,但当噪声的统计分布为非高斯分布时,利用传统GCC参数估计方法的估计精度和鲁棒性急剧下降。利用最小1-范数准则,提出一种存在α-稳定分布重尾脉冲噪声环境下的TDOA估计算法。系统仿真实验与结果分析表明,与传统GCC方法和分数低阶矩(Fractional Lower Order Moments,FLOM)方法相比,该算法在鲁棒性和估计精度方面均有明显改善。展开更多
文摘We used simulated data to investigate both the small and large sample properties of the within-groups (WG) estimator and the first difference generalized method of moments (FD-GMM) estimator of a dynamic panel data (DPD) model. The magnitude of WG and FD-GMM estimates are almost the same for square panels. WG estimator performs best for long panels such as those with time dimension as large as 50. The advantage of FD-GMM estimator however, is observed on panels that are long and wide, say with time dimension at least 25 and cross-section dimension size of at least 30. For small-sized panels, the two methods failed since their optimality was established in the context of asymptotic theory. We developed parametric bootstrap versions of WG and FD-GMM estimators. Simulation study indicates the advantages of the bootstrap methods under small sample cases on the assumption that variances of the individual effects and the disturbances are of similar magnitude. The boostrapped WG and FD-GMM estimators are optimal for small samples.
文摘针对脉冲噪声条件下利用传统广义互相关法(Generalized Cross-Correlation,GCC)进行时延(TDOA,Time Difference of Arrival)估计性能退化问题,提出一种基于最小1-范数准则的TDOA参数估计算法。对于高斯噪声,传统GCC估计方法能够实现统计最优,但当噪声的统计分布为非高斯分布时,利用传统GCC参数估计方法的估计精度和鲁棒性急剧下降。利用最小1-范数准则,提出一种存在α-稳定分布重尾脉冲噪声环境下的TDOA估计算法。系统仿真实验与结果分析表明,与传统GCC方法和分数低阶矩(Fractional Lower Order Moments,FLOM)方法相比,该算法在鲁棒性和估计精度方面均有明显改善。
